I like to do a lot of high temperature cooking (sauteing, searing) and have always used margarine because it had a higher smoke point than butter with (IM numb palate's O) the same taste. After reading it up on it, I really can't use it anymore. But obviously when I saute with butter, it burns. EVOO and VOO also burns rather quickly.

What do you guys use for these applications? I'm thinking just a lower grade olive oil? Any suggestions?

A lower grade olive oil would be better than an extra virgin certainly. Peanut oil is a great oil for high heat applications. I generally use canola as i do not keep a million types of oil in my cabinet. I have extra virgin olive and I have canola. I use the olive oil for most things. I only use the canola when I need a neutral flavor or for very high heat.

Here's a good article to check out:
EXCERPT:..."The Right Fat - Butter or Oil? It all has to do with smoking points. Butter (350°F) will give your food the best taste and a wonderful golden crust but burns more easily. Oil (375° F - 450° F) produces a nice crust and will not burn as quickly, but also doesn’t leave as rich a flavor or color as butter alone. Most chefs will use different oils depending on what they are cooking. If they are cooking a Mediterranean style dish, they may choose olive oil, but if they are preparing an Asian dish, sesame oil might be the better choice. You match the oil to the style of cooking but remember much of the flavor will be cooked off because of the high heat so you may just be better off using a generic oil like canola or safflower and add a little of the flavored oil at the end.

The Reluctant Gourmet uses a combination of the two. This way I get some of the flavor from the butter and a higher smoking point from the oil. What you cook and the amount you’re cooking will determine how butter and oil you use. For example, use about 1 to 1-1/2 tablespoons of each for 2 or more chicken cutlets and 1/2 to 1 tablespoon of each for 2 or more fish fillets..." Saute Pan - Choosing and Buying the Right Saute Pan

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I wouldn't use sesame oil for frying. Another good choice for high-temp cooking is grapeseed oil (I actually DO keep lots of different kinds of oils on hand!). The half/half option is always good if you want to extend your butter's smoking point. And extra virgin olive oil (I refuse to call it EVOO) is generally better finishing a dish. As previously posted, a good olive oil will suffice, extra virgin is a waste in this application, IMHO. If you do decide to splurge on several varieties of oil, keep in mind that they will spoil, so don't go overboard with huge containers.

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I wouldn't use sesame oil for frying. Another good choice for high-temp cooking is grapeseed oil (I actually DO keep lots of different kinds of oils on hand!). The half/half option is always good if you want to extend your butter's smoking point. And extra virgin olive oil (I refuse to call it EVOO) is generally better finishing a dish. As previously posted, a good olive oil will suffice, extra virgin is a waste in this application, IMHO. If you do decide to splurge on several varieties of oil, keep in mind that they will spoil, so don't go overboard with huge containers.